Inflation Swap
Price zero-coupon or year-on-year inflation swaps from a saved inflation curve and a nominal (discounting) curve. The Trade Type you pick swaps the leg-terms section below. Shared concepts are on the Pricing overview.
Pricing Context
| Field | Options | Default | What it does |
|---|---|---|---|
| As Of Date | Date | 2025-01-15 | Valuation date. |
| Trade Type | Zero Coupon Inflation Swap, Year-on-Year Inflation Swap | Zero Coupon | Selects the swap structure and the leg-terms section shown below. |
| Discounting Curve | Two dropdowns | Standalone → none | The nominal curve used to discount cashflows. |
| Inflation Curve | Two dropdowns | Standalone → none | The saved inflation curve. Must be a ZC-inflation curve for zero-coupon and a YoY-inflation curve for year-on-year. |
| Include detailed cash flows in pricing response | Checkbox | on | Return the per-period cashflow tables. |
Core Terms
Shared by both trade types.
| Field | Options | Default | What it does |
|---|---|---|---|
| Payer / Receiver | Payer, Receiver | Payer | Direction relative to the fixed leg. |
| Notional | Number | 1,000,000 | Face amount of the swap. |
| Observation Lag | Number + Days / Weeks / Months / Years | 3 Months | The lag between the reference date and the CPI observation used. |
| Observation Interpolation | AsIndex, Flat, Linear | Linear | How the CPI is interpolated between index publications. |
Zero Coupon Terms Zero Coupon
| Field | Options | Default | What it does |
|---|---|---|---|
| Start Date | Date | spot | Accrual start of the swap. |
| Maturity Date | Date | +5y | Maturity date; the single exchange happens here. |
| Fixed Rate | Number | 0.0215 | The fixed (breakeven) rate of the swap. |
| Fixed Day Counter | Day-counter list | Actual365Fixed | Day-count basis for the fixed leg. |
| Fixed Calendar | Calendar list | TARGET | Calendar for the fixed leg. |
| Fixed Convention | Business-day-convention list | ModifiedFollowing | Business-day rule for the fixed leg. |
| Inflation Calendar | Calendar list | NullCalendar | Calendar for the inflation leg. |
| Inflation Convention | Business-day-convention list | Following | Business-day rule for the inflation leg. |
| Adjust observation dates | Checkbox | off | Business-day-adjust the CPI observation dates. |
Year-on-Year Legs Year-on-Year
| Field | Options | Default | What it does |
|---|---|---|---|
| Fixed Rate | Number | 0.0204 | The fixed rate paid each period. |
| Spread | Number | 0.0002 | Additive spread on the inflation (YoY) leg. |
| Payment Calendar | Calendar list | TARGET | Calendar for payment dates. |
| Fixed Day Counter | Day-counter list | Actual365Fixed | Day-count basis for the fixed leg. |
| YoY Day Counter | Day-counter list | Actual365Fixed | Day-count basis for the year-on-year leg. |
| Payment Convention | Business-day-convention list | ModifiedFollowing | Business-day rule for payment dates. |
The year-on-year trade also shows a Schedules section: a shared Effective Date / Termination Date, plus per-leg Fixed and YoY schedules each with a Frequency, Calendar, Convention, and Termination Convention.
Reading the results
The results panel reports:
- NPV — the present value of the swap.
- Fair Rate — the breakeven fixed rate that zeroes the swap.
- Fair Spread — the par spread on the inflation leg (year-on-year only; shown as
—for zero-coupon). - Per-leg BPS and NPV — for the Fixed leg and the Inflation / YoY leg.
- Cashflows — the per-period tables when detailed cash flows are included.